LiveSurfaceFixedGrid

V8 Message Definiton

This table contains a live grided (interpolated) censored implied volatility surface. Each record contains standarized live and prior period implied volatilities at standarized skew points for a standardized days-to-expiration value. LiveSurfaceGrid records are published to the SpiderRock elastic cluster nightly.

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	OptSurface
Product	SRAnalytics
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
ticker_at	enum - AssetType	PRI	'None'
ticker_ts	enum - TickerSrc	PRI	'None'
ticker_tk	VARCHAR(12)	PRI	''
days	SMALLINT	PRI	0	days to expiration 5 21 42 63 84 105 126 189 252 378 504
surfaceType	enum - SurfaceCurveType	PRI	'None'
date	VARCHAR(10)		''
time	VARCHAR(8)		''
sDiv	FLOAT		0	Interpolated implied sdiv rate from LiveSurfaceFixedTermsDivN
fwdUPrc	FLOAT		0	Interpolated implied forward price from LiveSurfaceFixedTermfwdUPrcN
eCnt	INT		0	Number of expected earnings dates from LiveSurfaceFixedTermeCntN
eMove	FLOAT		0	Implied earnings move from LiveSurfaceFixedTermeMove
eMoveHist	FLOAT		0	Historical earnings move from LiveSurfaceFixedTermeMoveHist
volD45	FLOAT		0	xde 45 censored volatility
volD40	FLOAT		0	xde 40
volD35	FLOAT		0	xde 35
volD30	FLOAT		0	xde 30
volD25	FLOAT		0	xde 25
volD20	FLOAT		0	xde 20
volD15	FLOAT		0	xde 15
volD10	FLOAT		0	xde 10
volD05	FLOAT		0	xde 5
volA00	FLOAT		0	xde 0
volU05	FLOAT		0	xde 5
volU10	FLOAT		0	xde 10
volU15	FLOAT		0	xde 15
volU20	FLOAT		0	xde 20
volU25	FLOAT		0	xde 25
volU30	FLOAT		0	xde 30
volU35	FLOAT		0	xde 35
volU40	FLOAT		0	xde 40
volU45	FLOAT		0	xde 45
vWidth	FLOAT		0	atm volatility width from LiveSurfaceFixedTermvWidthN
vSlope	FLOAT		0	atm volatility slope from LiveSurfaceFixedTermvSlopeN
loYears	FLOAT		0	LiveSurfaceCurveyears before days 1 none
hiYears	FLOAT		0	LiveSurfaceCurveyears after days 1 none
minDelta	FLOAT		0	minimum valid strike delta
maxDelta	FLOAT		0	maximum valid strike delta
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	surface fit timestamp

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3
days	4
surfaceType	5

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgLiveSurfaceFixedGrid` (
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `days` SMALLINT NOT NULL DEFAULT 0 COMMENT 'days to expiration [5, 21, 42, 63, 84, 105, 126, 189, 252, 378, 504]',
    `surfaceType` ENUM('None','Live','PrevDay','Interp','Close','Test') NOT NULL DEFAULT 'None',
    `date` VARCHAR(10) NOT NULL DEFAULT '',
    `time` VARCHAR(8) NOT NULL DEFAULT '',
    `sDiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated implied sdiv rate (from LiveSurfaceFixedTerm.sDiv_N)',
    `fwdUPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated implied forward price (from LiveSurfaceFixedTerm.fwdUPrc_N)',
    `eCnt` INT NOT NULL DEFAULT 0 COMMENT 'Number of expected earnings dates (from LiveSurfaceFixedTerm.eCnt_N)',
    `eMove` FLOAT NOT NULL DEFAULT 0 COMMENT 'Implied earnings move (from LiveSurfaceFixedTerm.eMove)',
    `eMoveHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'Historical earnings move (from LiveSurfaceFixedTerm.eMoveHist)',
    `volD45` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -45	    (censored volatility)',
    `volD40` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -40',
    `volD35` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -35',
    `volD30` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -30',
    `volD25` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -25',
    `volD20` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -20',
    `volD15` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -15',
    `volD10` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -10',
    `volD05` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -5',
    `volA00` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = 0',
    `volU05` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +5',
    `volU10` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +10',
    `volU15` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +15',
    `volU20` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +20',
    `volU25` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +25',
    `volU30` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +30',
    `volU35` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +35',
    `volU40` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +40',
    `volU45` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +45',
    `vWidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm volatility width (from LiveSurfaceFixedTerm.vWidth_N)',
    `vSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm volatility slope (from LiveSurfaceFixedTerm.vSlope_N)',
    `loYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'LiveSurfaceCurve.years before days [-1 = none]',
    `hiYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'LiveSurfaceCurve.years after days	[-1 = none]',
    `minDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'minimum valid strike delta',
    `maxDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'maximum valid strike delta',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'surface fit timestamp',
    PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`days`,`surfaceType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='This table contains a live grided (interpolated) censored implied volatility surface.  Each record contains standarized live and prior period implied volatilities at standarized skew points for a standardized days-to-expiration value.\nLiveSurfaceGrid records are published to the SpiderRock elastic cluster nightly.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `days`,
    `surfaceType`,
    `date`,
    `time`,
    `sDiv`,
    `fwdUPrc`,
    `eCnt`,
    `eMove`,
    `eMoveHist`,
    `volD45`,
    `volD40`,
    `volD35`,
    `volD30`,
    `volD25`,
    `volD20`,
    `volD15`,
    `volD10`,
    `volD05`,
    `volA00`,
    `volU05`,
    `volU10`,
    `volU15`,
    `volU20`,
    `volU25`,
    `volU30`,
    `volU35`,
    `volU40`,
    `volU45`,
    `vWidth`,
    `vSlope`,
    `loYears`,
    `hiYears`,
    `minDelta`,
    `maxDelta`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveSurfaceFixedGrid`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `ticker_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `ticker_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk'
  AND
    /* Replace with a SMALLINT */ 
    `days` = 0
  AND
    /* Replace with a ENUM('None','Live','PrevDay','Interp','Close','Test') */ 
    `surfaceType` = 'None';

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='LiveSurfaceFixedGrid' ORDER BY ordinal_position ASC;